I did it thru this link,
http://wubi-installer.org/
You download the installer run that and then it downloads a much bigger file and installs that, all thru windows, all automatically. I did not burn anything to disk first. The only questions it asks is to pick a drive to use and the size you want allocated towards the Linux and a name and password.
When it boots, it gives you the option of booting to either windows or Linux so I assume once installed, it is not windows dependent at all so you do get the Linux speed benefits?
I would like to do a dual boot system without compromising my current windows XP environment, if nothing else, just to have something new to play with. I know I'll always need windows for game playing and probably some of my photo editing stuff but if I can web browse, check email, play media, etc. thru Linux I think it would be fun to try.